University of IsfahanJournal of Asset Management and Financing2383-11893420160220The use of hybrid model Kansei-SOM in risk management and stock assessmentThe use of hybrid model Kansei-SOM in risk management and stock assessment11419927FAZahraNasrollahiAssociate Professor, Faculty of Economics, Management and Accounting University of Yazd, IranSaeedFarhadiMaster of Industrial Engineering Student at the University of Arts and Sciences, Yazd, IranJournal Article20160614Risk management and stock assessment methods, age the key factors in decisions making and stock selection in the stock market. Various methods for selecting superior stocks in the stock market is introduced. In this paper we use Kansy analysis that has been improved by SOM learning algorithm to select stock. This method is used to integrate multi- professional idea to maximize investment returns and minimize the loss that originates from the complexity of stock market changes. This paper uses monthly statistics Tehran Stock Exchange firms from April 1392 to June 1392, and six brokerage expert opinions on selected stock, preferred stock selection in the course have been discussed. The results of Bandar Abbas Oil Refining Company , Fars and Khuzestan Cement and National Development Team Leader was selected as the preferred stock , price chart of these companies in the interval represents a reasonable return on the company’s workshop in.Risk management and stock assessment methods, age the key factors in decisions making and stock selection in the stock market. Various methods for selecting superior stocks in the stock market is introduced. In this paper we use Kansy analysis that has been improved by SOM learning algorithm to select stock. This method is used to integrate multi- professional idea to maximize investment returns and minimize the loss that originates from the complexity of stock market changes. This paper uses monthly statistics Tehran Stock Exchange firms from April 1392 to June 1392, and six brokerage expert opinions on selected stock, preferred stock selection in the course have been discussed. The results of Bandar Abbas Oil Refining Company , Fars and Khuzestan Cement and National Development Team Leader was selected as the preferred stock , price chart of these companies in the interval represents a reasonable return on the company’s workshop in.https://amf.ui.ac.ir/article_19927_63a7a404fc7ec76de344adc9239d8f29.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11893420160220investigate investors confidence from rate of stability of accruals component in Tehran Stock Exchangeinvestigate investors confidence from rate of stability of accruals component in Tehran Stock Exchange153019930FAMohamad AliAghaei- Department of Accounting Tarbiat Modarres University, IranMahdisNikzad GhadikolaeeMaster of Accounting Tarbiat Modarres University, IranVahidAhmadianAccounting PhD student Tarbiat Modarres University, IranJournal Article20160614The aim of this study is investigate perception ability investors from rate of stability of accruals component in comparision to the cash component in predictions of future earnings in Tehran Stock Exchange. For this purpose, first, stability of accruals earnings and its components (net working capital, non-current operating assets and financial assets) with cash earnings component has been compared and based of this comparision and the reaction of investors to this item, about the inexperienced investor hypothesis in Tehran Stock Exchange conclusion has been done.This study in the form of combined data with a sample of 142 firms in Tehran Stock Exchange in the period of 1382 to 1391 is implemented. Research findings indicate that stability of earnings accruals and their components is less than cash component, but investors due to inexperience, in prediction less stability accrual component compared to cash component are wrong. prove the existence of anomalies accruals ( accruals anomalously ) in the Iranian Capital Market in terms of scientifically,in stock valuation models will be effective.The aim of this study is investigate perception ability investors from rate of stability of accruals component in comparision to the cash component in predictions of future earnings in Tehran Stock Exchange. For this purpose, first, stability of accruals earnings and its components (net working capital, non-current operating assets and financial assets) with cash earnings component has been compared and based of this comparision and the reaction of investors to this item, about the inexperienced investor hypothesis in Tehran Stock Exchange conclusion has been done.This study in the form of combined data with a sample of 142 firms in Tehran Stock Exchange in the period of 1382 to 1391 is implemented. Research findings indicate that stability of earnings accruals and their components is less than cash component, but investors due to inexperience, in prediction less stability accrual component compared to cash component are wrong. prove the existence of anomalies accruals ( accruals anomalously ) in the Iranian Capital Market in terms of scientifically,in stock valuation models will be effective.https://amf.ui.ac.ir/article_19930_20fe68fa2f7002ee0f8f4a87ef6ebf6b.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11893420160220The Role some of Corporate Governance Mechanisms in Reducing the Risk of Share Price crash in Accepted Companies in Tehran Stock ExchangeThe Role some of Corporate Governance Mechanisms in Reducing the Risk of Share Price crash in Accepted Companies in Tehran Stock Exchange315019929FAMohsenTananiAssistant Professor of Accounting, University of Economic Sciences, IranAlirezaSedighiMaster of Accounting, Science and Research Saveh, the Ayande bank, IranAbbasAmiryMaster of Accounting, Tarbiat Modarres University, IranJournal Article20160614The current study was conducted to investigate the role of corporate governance mechanisms in reducing the risk of share price crash in accepted companies in Tehran stock exchange. To fulfill the purpose of the study, form variable board independence the institutional shareholders, the interior auditor, and the separation of CEO’s duties from those of the CIO were applied as the variables of corporate governance, and 163 companies within 2004-2011 were selected as the sample for the study which totally formed 884 year-company. The analysis of the data showed a meaningful and indirect relationship between institutional shareholders and the risk of share price crash, and a meaningful and direct one between the ratio of board independence and the risk of share price crash. Also, it indicated a direct relationship between the interior auditor and the separation of CEO’s duties from those of the CIO on one hand and the risk of share price fall on the other, but this was not statistically supported. Pedagogically, corporate governance mechanisms affects share price crash.The current study was conducted to investigate the role of corporate governance mechanisms in reducing the risk of share price crash in accepted companies in Tehran stock exchange. To fulfill the purpose of the study, form variable board independence the institutional shareholders, the interior auditor, and the separation of CEO’s duties from those of the CIO were applied as the variables of corporate governance, and 163 companies within 2004-2011 were selected as the sample for the study which totally formed 884 year-company. The analysis of the data showed a meaningful and indirect relationship between institutional shareholders and the risk of share price crash, and a meaningful and direct one between the ratio of board independence and the risk of share price crash. Also, it indicated a direct relationship between the interior auditor and the separation of CEO’s duties from those of the CIO on one hand and the risk of share price fall on the other, but this was not statistically supported. Pedagogically, corporate governance mechanisms affects share price crash.https://amf.ui.ac.ir/article_19929_6e6441907c8a8e07100ed4f9d8578b31.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11893420160220Investigating the Non-Linear Relationship between Growth and Profitability of the
Companies Listed in Tehran Stock ExchangeInvestigating the Non-Linear Relationship between Growth and Profitability of the
Companies Listed in Tehran Stock Exchange516619926FAMohammad HoseinSetayeshDepartment of Accounting, University of Shiraz, IranAlirezaMomtazianThe Accounting Graduate Student at the University of Shiraz, IranSajjadBehpurPhD Student in the Department of Economics, University of Shiraz, IranJournal Article20160614The goal of present research is to investigating the nonlinear relationship between growth and <br />profitability of the companies listed in Tehran Stock Exchange (TSE). In this regard, the <br />effects of firm size, financial leverage and liquidity ratio have been controlled. The sample of <br />present study consists of 173 listed companies of Tehran Stock Exchange during 2003 to <br />2011. First, after examining the literatures, which has confirmed the nonlinear relationship <br />between growth and corporate profitability, this study attempted to assess the reliability of <br />data using Levin, Lin and Chow Test, and then nonlinear relationship is estimated using <br />Eviews software. Results express that there is a significant nonlinear relationship between <br />growth and corporate profitability such that coincided with the growth of the company, its <br />profitability increases. However this relationship has a threshold, and from that point <br />onwards, with the increase of the company grows in any amount, its profitability will <br />decrease.The goal of present research is to investigating the nonlinear relationship between growth and <br />profitability of the companies listed in Tehran Stock Exchange (TSE). In this regard, the <br />effects of firm size, financial leverage and liquidity ratio have been controlled. The sample of <br />present study consists of 173 listed companies of Tehran Stock Exchange during 2003 to <br />2011. First, after examining the literatures, which has confirmed the nonlinear relationship <br />between growth and corporate profitability, this study attempted to assess the reliability of <br />data using Levin, Lin and Chow Test, and then nonlinear relationship is estimated using <br />Eviews software. Results express that there is a significant nonlinear relationship between <br />growth and corporate profitability such that coincided with the growth of the company, its <br />profitability increases. However this relationship has a threshold, and from that point <br />onwards, with the increase of the company grows in any amount, its profitability will <br />decrease.https://amf.ui.ac.ir/article_19926_2199240a22ec2d2251444f57ed59c582.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11893420160220Performance Evaluation of Mutual Funds by Stochastic Dominance Criteria and
comparing with Sharp Ratio and Sortino RatioPerformance Evaluation of Mutual Funds by Stochastic Dominance Criteria and
comparing with Sharp Ratio and Sortino Ratio678419928FAAliAlishayeganmehrMaster of Business Administration in Finance Sistan and Baluchestan University, IranGholam RezaZamanianAssistant Professor, Department of Economics, University of Sistan and Baluchestan, IranMohammad NabiShahiki TashAssistant Professor, Department of Economics, University of Sistan and Baluchestan, IranJournal Article20160614This study aimed to evaluate the performance of mutual funds in Iran capital market using <br />stochastic dominance criteria and compared with the results of the Sharpe ratio and Sortino <br />ratio as performance measures in modern and postmodern portfolio theory. The sample <br />period include the beginning of 1389 to the end of the second quarter of 1392. Mutual funds <br />studied are mutual funds which have begun their activities before 1389 with investing in <br />stocks and preemptive right, and it`s activities has continued in the period under study. <br />Regarding the return distribution function of the most mutual funds that are almost normal, <br />results show that there is a significant relationship between stochastic dominance criteria <br />ranking with rankings of Sharpe ratio and Sortino ratio. Also, the correlation coefficient <br />between the results of stochastic dominance criteria and Sortino ratio is greater than the <br />correlation coefficient between the results of stochastic dominance criteria and Sharpe ratio.This study aimed to evaluate the performance of mutual funds in Iran capital market using <br />stochastic dominance criteria and compared with the results of the Sharpe ratio and Sortino <br />ratio as performance measures in modern and postmodern portfolio theory. The sample <br />period include the beginning of 1389 to the end of the second quarter of 1392. Mutual funds <br />studied are mutual funds which have begun their activities before 1389 with investing in <br />stocks and preemptive right, and it`s activities has continued in the period under study. <br />Regarding the return distribution function of the most mutual funds that are almost normal, <br />results show that there is a significant relationship between stochastic dominance criteria <br />ranking with rankings of Sharpe ratio and Sortino ratio. Also, the correlation coefficient <br />between the results of stochastic dominance criteria and Sortino ratio is greater than the <br />correlation coefficient between the results of stochastic dominance criteria and Sharpe ratio.https://amf.ui.ac.ir/article_19928_d715f1c4da158f816e1295e6ee1960cd.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11893420160220The Impact of Stock Price Synchronicity and Stock Return Volatilities on the Stock
Liquidity for Companies Listed in Tehran Stock ExchangeThe Impact of Stock Price Synchronicity and Stock Return Volatilities on the Stock
Liquidity for Companies Listed in Tehran Stock Exchange859819932FADariushForoghiAssociate Professor of Accounting, University of Isfahan, IranMaliheFarjamiMaster of Financial Management, University of Isfahan, IranJournal Article20160614This study examines the impact of stock price synchronicity and stock return volatilities on <br />the stock liquidity. The time period of study is from 1385 until 1390. The statistical <br />population is all firms listed in Tehran Stock Exchange, where eventually 95 companies were <br />qualified and selected for this study. For measuring stock liquidity, Amihud illiquidity <br />measure is used. The stock prices synchronicity calculated using the R-squared of stock from <br />the market model regression. The volatilities of stock return divided systematic and <br />idiosyncratic volatility calculated by systematic and idiosyncratic variance. The results <br />indicate a positive effect of stock price synchronicity and systematic volatility of stock <br />returns on stock liquidity while idiosyncratic volatility of stock returns have a negative <br />impact on stock liquidity.This study examines the impact of stock price synchronicity and stock return volatilities on <br />the stock liquidity. The time period of study is from 1385 until 1390. The statistical <br />population is all firms listed in Tehran Stock Exchange, where eventually 95 companies were <br />qualified and selected for this study. For measuring stock liquidity, Amihud illiquidity <br />measure is used. The stock prices synchronicity calculated using the R-squared of stock from <br />the market model regression. The volatilities of stock return divided systematic and <br />idiosyncratic volatility calculated by systematic and idiosyncratic variance. The results <br />indicate a positive effect of stock price synchronicity and systematic volatility of stock <br />returns on stock liquidity while idiosyncratic volatility of stock returns have a negative <br />impact on stock liquidity.https://amf.ui.ac.ir/article_19932_8083a26b5b200cab2bc7bb8d99e9b708.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11893420160220Dynamic Simultaneous Modeling for Corporate Financial Decisions Behavior Under
Uncertainty in Tehran Stock ExchangeDynamic Simultaneous Modeling for Corporate Financial Decisions Behavior Under
Uncertainty in Tehran Stock Exchange9912019931FARezaTehraniAssociate Professor University of Tehran, IranSaeedFallahpourAssistant Professor University of Tehran, IranSeyed JalalTabatabaeiFinancial Management PhD student, Kish International Campus University of Tehran Faculty Member Payam Noor University, IranJournal Article20160614In this study, a dynamic simultaneous modeling for financial behavior for Tehran Stock <br />Exchange listed companies has been constructed. Four structural equation including <br />investment, debt, dividend and equity issue are estimated by a system generalized method of <br />moment method. Results indicate that simultaneity in investment, debt, dividend and equity <br />issue decisions exists. Companies’ management facing with constraint in financing should <br />consider sources and using choices together in order to preventing losses from un-optimal <br />investment and increases in cost of capital. Pecking order theory in investing by companies <br />confirmed. We argue that static models of financial decisions produce inconsistent coefficient <br />estimates, and that models that do not acknowledge the interdependence among decision <br />variables produce inefficient estimates and provide an incomplete and potentially misleading <br />view of financial behavior.In this study, a dynamic simultaneous modeling for financial behavior for Tehran Stock <br />Exchange listed companies has been constructed. Four structural equation including <br />investment, debt, dividend and equity issue are estimated by a system generalized method of <br />moment method. Results indicate that simultaneity in investment, debt, dividend and equity <br />issue decisions exists. Companies’ management facing with constraint in financing should <br />consider sources and using choices together in order to preventing losses from un-optimal <br />investment and increases in cost of capital. Pecking order theory in investing by companies <br />confirmed. We argue that static models of financial decisions produce inconsistent coefficient <br />estimates, and that models that do not acknowledge the interdependence among decision <br />variables produce inefficient estimates and provide an incomplete and potentially misleading <br />view of financial behavior.https://amf.ui.ac.ir/article_19931_3e6bde4b303366d61801f9da2e603d0d.pdf